Tri-Party Repo Data: August & September 2016

The Federal Reserve Bank of New York (FRBNY) released their monthly statistics of the U.S. tri-party repo market for August and September 2016.

August

As of August 9, 2016, the total collateral in the U.S. tri-party repo market increased by $43 billion to approximately $1.631 trillion. U.S. Treasuries excluding Strips collateral increased the largest amount by $32.6 billion, setting a new all-time high for the third straight month at $773.76 billion (exceeded again in Sept. 2016, see below). U.S. Agency Mortgage-Backed Securities collateral increased $6.3 billion, while U.S. Agency Debentures & Strips moved in the opposite direction, decreasing by $3.66 billion. Equities collateral increased $9 billion to $123.16 billion, the highest level since January 2016.

Median margin levels largely remained stable. There were no changes in the Fedwire-eligible collateral. The only decreases in median margin levels were International Securities collateral, which decreased from 5% to 3%, and Collateralized Debt Obligations (CDOs), which decreased from 7% to 6%. The median margin level for Non-Investment Grade Asset-Backed Securities (ABS) and Money Market collateral increased sharply to 15% and 5%, respectively, a month-over-month change of 50% or higher. The median margin levels for CMO Private Label Non Investment Grade and Corporates Non Investment Grade collateral both increased from 8% to 10%.

As of September 12, 2016, the total collateral in the U.S. tri-party repo market increased by over $17 billion to approximately $1.648 trillion. U.S. Treasuries excluding Strips collateral increased by $10.7 billion to $784.50 billion, a new all-time high for the fourth straight month. The percentage share of U.S. Treasuries excluding Strips of the total tri-party repo collateral was also an all-time high at 47.6%. U.S. Agency Mortgage-Backed Securities collateral increased $20 billion to $438.45 billion. Money Market collateral jumped approximately 30% over the previous month to $13.01 billion.

Median margin levels largely remained stable. There were no changes in the Fedwire-eligible collateral. The median margin level for CDOs edged higher by 40 basis points to 6.4%. The median margin levels for Investment Grade ABS, International Securities and Money Market Collateral each decreased by 1 percentage point to 5%, 2% and 3%, respectively.